AMFAX vs. SPY
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and SPDR S&P 500 ETF (SPY).
AMFAX is managed by Blackrock. It was launched on Jul 30, 2010. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMFAX or SPY.
Key characteristics
| AMFAX | SPY | |
|---|---|---|
| YTD Return | -3.54% | 26.77% |
| 1Y Return | -8.43% | 37.43% |
| 3Y Return (Ann) | -3.20% | 10.15% |
| 5Y Return (Ann) | 2.21% | 15.86% |
| 10Y Return (Ann) | -0.08% | 13.33% |
| Sharpe Ratio | -0.71 | 3.06 |
| Sortino Ratio | -0.85 | 4.08 |
| Omega Ratio | 0.89 | 1.58 |
| Calmar Ratio | -0.22 | 4.44 |
| Martin Ratio | -1.03 | 20.11 |
| Ulcer Index | 8.08% | 1.85% |
| Daily Std Dev | 11.70% | 12.18% |
| Max Drawdown | -37.95% | -55.19% |
| Current Drawdown | -36.42% | -0.31% |
Correlation
The correlation between AMFAX and SPY is 0.19, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
AMFAX vs. SPY - Performance Comparison
In the year-to-date period, AMFAX achieves a -3.54% return, which is significantly lower than SPY's 26.77% return. Over the past 10 years, AMFAX has underperformed SPY with an annualized return of -0.08%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
AMFAX vs. SPY - Expense Ratio Comparison
AMFAX has a 1.72% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
AMFAX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and SPDR S&P 500 ETF (SPY). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Dividends
AMFAX vs. SPY - Dividend Comparison
AMFAX's dividend yield for the trailing twelve months is around 0.31%, less than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 0.31% | 0.30% | 10.01% | 5.74% | 3.14% | 6.12% | 0.00% | 0.00% | 0.00% | 2.08% | 2.63% | 0.00% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
AMFAX vs. SPY - Drawdown Comparison
The maximum AMFAX drawdown since its inception was -37.95%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for AMFAX and SPY. For additional features, visit the drawdowns tool.
Volatility
AMFAX vs. SPY - Volatility Comparison
The current volatility for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) is 2.96%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.88%. This indicates that AMFAX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.